Factor-Augmented Vector Autoregression
favar(data, priorObj, factordata, nreps, burnin, alpha, beta, tau2, c2, li_prvar, priorm, stabletest = TRUE, nthin = 1)
| data | data that is not going to be reduced to factors |
|---|---|
| priorObj | An S3 object containing information about the prior. |
| factordata | data that is going to be reduced to its factors |
| nreps | total number of draws |
| burnin | number of burn-in draws. |
| alpha, beta | prior on the variance of the measurement equation |
| tau2 | variance of the coefficients in the measurement equation (only used if priorm=2) |
| c2 | factor for the variance of the coefficients (only used if priorm=2) |
| li_prvar | prior on variance of coefficients (only used if priorm = 1) |
| priorm | Selects the prior on the measurement equation, 1=Normal-Gamma Prior and 2=SSVS prior. |
| stabletest | boolean, check if a draw is stationary or not |
| nthin | thinning parameter |